We jointly estimate the U.S. business and financial cycle through a unified empirical approach while simultaneously accounting for the role of financial factors. Our approach uses the Beveridge-Nelson decomposition within a medium-scale Bayesian Vector Autoregression. First, we show, both in...

When estimating fiscal policy reaction functions (FRF), the literature has well recognized the importance of non-linearities. However, there is yet very little attempt to formally test for the presence and potential sources of a non-linear fiscal responsiveness. In this paper we address this gap...

This paper estimates equilibrium rates of macroeconomic aggregates for small open economies. We simultaneously identify the transitory and permanent components of output, inflation, the interest rate and the exchange rate by means of a multivariate trend-cycle decomposition. Realizations of the...

This paper analyzes the amount of time variation in the parameters of a reduced-form empirical macroeconomic model for the U.S. economy. We set up an unobserved components model to decompose output, inflation and unemployment in their stochastic trend and business cycle gap components. The...

The European Central Bank (ECB) strives to maintain inflation at a 2% target rate, yet the Euro area's diverse economies pose challenges to achieving this goal with a single nominal interest rate. Effective monetary policy transmission hinges on synchronizing the Natural Rate of Interest (NRI)...

This article analyses the dynamic evolution of capital mobility in eight Organization for Economic Co-operation and Development (OECD) countries over the period 1850 to 1992. We estimate an error-correction model of saving and investment that allows to distinguish between short- and long-run...